MES Pivot Breakouts with Higher-Timeframe, RSI, and Volume Filters
Summary
This MES strategy looks for closing breaks above confirmed pivot highs or below pivot lows. A long also requires price above a higher-timeframe EMA, RSI above its midpoint, elevated volume, an enabled morning or afternoon session, and an available trade slot; shorts apply the inverse conditions. Pivot length, filter settings, session hours, and the maximum trades per window are configurable.
Stops sit beyond the opposing recent pivot with a point buffer, while profit targets are set using a configurable reward-to-risk multiple. The script submits exits at those levels, closes positions at session end, and includes alerts and chart displays for signals and trade levels. Its stated setup supplies no performance results, so it does not establish that the filters improve returns. Pivot confirmation is delayed by the required bars, and the strategy’s behavior depends on chart timeframe, instrument data, and backtest assumptions such as commissions and order fills.
Key ideas
- Long and short entries require a close through the latest confirmed swing level.
- The higher-timeframe EMA, RSI midpoint, and volume threshold jointly filter breakout signals.
- Entries are restricted to configured session windows and a per-window trade limit.
- Stops use the opposing pivot plus a buffer, and targets scale from calculated risk.
- Positions are closed at session end, but the document provides no evidence of profitability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.